我国股票期现货市场间的溢出效应研究--基于1分钟高频数据的实证检验

摘要

本文以我国沪深300股指期现货为研究对象，采用2012年4月16日—2014年3月20日的1分钟高频交易数据，通过构建多元DCC-VARMA-GARCH模型检验了我国股指期现货市场之间的溢出效应。实证结果表明，我国股指期现货市场之间存在双向波动溢出效应，且现货市场的波动溢出效应大于期货市场，而均值溢出效应仅表现为期货市场向现货市场的单向传递。这说明我国股指期货市场已具备基本的价格发现功能，发挥了稳定股票现货市场的作用。%Based on China's Shanghai and Shenzhen 300 stock index spot as the research object, adopted April 16,2012 to March 20,2014 1 minute high-frequency trading data,by constructing multivariate DCC-GARCH error correction model tested spillover effects of stock index futures and spot markets. The empirical results show that in our country there is a two-way volatility spillover effects between the stock index futures market and the spot market, and the mean spillover effect of one-way transmission from the futures market to the spot market. Besides,the spot market volatility spillover effect is stronger than the futures market, which shows that the stock index futures market in China already has the basic price discovery function,the introduction of stock index futures didn’t cause the increase of stock markets volatility,but played a role in stabilizing the stock spot market.